Release Notes

Spring 2025 Release to Version 1.17

Strengthening of Interest Rate Risk Calculations Across Regimes; Amortising Bond Added

Strengthened Interest Rate Risk Calculations: Interest rate risk methodologies have been upgraded across all supported regulatory regimes to better align with local methodologies and curve structures.
Amortisation Logic Implemented: Amortisation now applies across regional government bonds, corporate bonds and loans, covered bonds, and infrastructure loans, improving accuracy of base valuation and spread sensitivity.
Enhanced Portfolio Input Validation: Additional C# logic has been implemented for robust checking when reading the portfolio input sheet, reducing risk of ingest errors.
Input Sheet File Handling: Ensures all input sheets are properly closed after being read, improving performance and eliminating file lock issues.
Web Version Retirement & New Website Style: The web version has now been retired in line with the previous release plan. A fresh website style has been launched to reflect the desktop-first focus.

Risk-Free Rate Curves: ICS risk-free rate (RFR) curves are now implemented using government bonds, swaps, and the Smith-Wilson 3-segment extrapolation approach.
Risk Adjustments Added: Due to the absence of company-specific data, a parallel risk adjustment of 25/30/35bps (based on currency group) is added to both RFR and LTFR to derive adjusted curves.
Ongoing Curve Updates: These adjusted curves are now available monthly, enabling consistent back-testing and monitoring.
Interest Rate Risk Methodology Change: Simplified from five stresses to three, removing “Twist Up” and “Twist Down” stresses for clarity and speed.
Non-Default Spread Risk (NDSR): The NDSR spread-up formula now includes a floor and cap of 40bps and 150bps, respectively.

Monthly Calibrations: For non-quarter-end months and other currencies, monthly calibrations are generated using the 3-segment method and EIOPA-aligned parameters.

Improved Curve Methodology: Switched from using EIOPA RFR proxies to using market spot rates combined with the 3-segment approach and correct Smith-Wilson parameters to derive Singapore base RFRs.

RFR Rebase: Risk-free rates have been rebased from swaps to sovereign yields to better align with APRA methodology under the LAGIC regime.

Domestic Asset Charges Added: Capital charges for domestic Taiwanese equities and fixed income assets have been incorporated into the model, complementing existing foreign asset treatment.